A5101750598- Financial Markets and Investment Strategies
- Stochastic processes and financial applications
- Corporate Finance and Governance
- Credit Risk and Financial Regulations
- Market Dynamics and Volatility
- Complex Systems and Time Series Analysis
- Corporate Taxation and Avoidance
- Private Equity and Venture Capital
- Capital Investment and Risk Analysis
- Insurance and Financial Risk Management
- Insurance, Mortality, Demography, Risk Management
- Financial Risk and Volatility Modeling
- Poxvirus research and outbreaks
- Political Influence and Corporate Strategies
- Optics and Image Analysis
- Supply Chain Resilience and Risk Management
- Herpesvirus Infections and Treatments
- Supply Chain and Inventory Management
- Advanced Queuing Theory Analysis
- Complex Network Analysis Techniques
- Innovation Diffusion and Forecasting
- Sustainable Supply Chain Management
- Financial Reporting and Valuation Research
- Advanced Wireless Network Optimization
- Plant Virus Research Studies
Chinese Academy of Medical Sciences & Peking Union Medical College
2024
Tianjin University
2016-2023
Shanghai Institute of Microsystem and Information Technology
1989
Purpose The purpose of this paper is to explore how the price limit policy implemented in 2014 affects initial public offering (IPO) underpricing and long-term performance China. Design/methodology/approach data are IPOs from Shanghai Stock Exchange (SSE) Shenzhen (SZSE) between 2004 2018. firstly divided into before after according time issuance. Then two groups 4 subsamples market blocks P/E ratio. authors use multiple regression models effect each subsample. Findings first-day system for...
This paper evaluates vulnerable American put options under jump–diffusion assumptions on the underlying asset and assets of counterparty. Sudden shocks prices are described as a compound Poisson process. Analytical pricing formulae European twice-exercisable derived. Employing two-point Geske Johnson method, we derive an approximate analytical formula jump–diffusions. Numerical simulations performed for investigating impacts jumps default risk option prices.
This paper presents a model for valuing vulnerable European options with risky collateral under the assumption that holder of could recover proportion option value using account when default occurs. We describe underlying asset and correlated geometric Brownian motions consider risk in reduced form model. An integral pricing formula call is derived intensity follows an Ornstein–Uhlenbeck process. For practical purposes, we work captured by Cox–Ingersoll–Ross processes respectively, numerical...
This study proposes a framework to diagnose stock market crashes and predict the subsequent price rebounds. Based on observation of anomalous changes in correlation networks during crashes, we extend log-periodic power-law model with metric that is proposed measure network anomalies. To calculate this metric, design prediction-guided anomaly detection algorithm based extreme value theory. Finally, hybrid indicator rebounds index by combining visibility graph-based model. Experiments are...
We connect the IPO underpricing with secondary market trading mechanism by examining data of Chinese A-share IPOs between 1993 and 2016. find that ten-minute call auction procedure generates most initial return. For whole sample, mean value ratios returns to is close 1, account for 95% variability in returns. Regression results further show determinants existing literature explain better than continuous
This paper investigates vulnerable European options with bond collateral. Working stochastic interest rate, we evaluate under four cases of collateral according to the length time maturity government bonds, including cash, short term medium and long bonds. The impacts credit risk on option prices are illustrated numerically.
This paper derives closed-form formulae for European options under a diffusion model when there exist psychological barriers and leverage effect in underlying dynamics. The state space of the proposed is divided into different subregions by barriers, each subregion, behaves like constant elasticity variance process. Within this framework, we derive both Laplace transform- spectral expansion-based analytical solutions, which allow fast accurate calculation option prices. Numerical results are...
We investigate vulnerable supply chain coordination with an option contract in the presence of disruption risk caused by external and internal disturbances. The consists a single risk-neutral supplier risk-averse retailer. characterize retailer’s order quantity decision under Conditional Value-at-Risk (CVaR) criterion supplier’s production decision. results show that facing risk-aversion, both retailer would be more prudent to produce less than scenario, inducing damage performance. number...
This study investigates the effect of shadow bank leverage on corporate bond returns. Using a unique dataset Wealth Management Products (WMPs), we construct new measurement in Chinese banking system. We find that sensitivity returns to risk has negative propose three-factor pricing model by adding factor into traditional two-factor Fama and French (1993. “Common Risk Factors Returns Stocks Bonds.” Journal Financial Economics 33: 3–56). A comprehensive empirical analysis shows proposed fits...